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Optimal portfolio selection based on expected shortfall under Generalized Hyperbolic distribution

Budhi Arta Surya; Kurniawan, Ryan - In: Asia-Pacific financial markets 21 (2014) 3, pp. 193-236

Persistent link: https://www.econbiz.de/10010511588

Modeling manager confidence in forecasted excess returns under active portfolio management

Birge, John R.; Chávez-Bedoya, Luis - In: The journal of asset management 15 (2014) 6, pp. 353-365

Persistent link: https://www.econbiz.de/10010476259

Coherent risk measures and normal mixture distributions with applications in portfolio optimization

Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012652709

Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions

Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157

Persistent link: https://www.econbiz.de/10012058851

Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior

Birge, John R.; Chávez-Bedoya, Luis - In: Quantitative finance 21 (2021) 2, pp. 199-219

Persistent link: https://www.econbiz.de/10012424559

Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis

Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304

Persistent link: https://www.econbiz.de/10014472109

Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market

Mwaniki, Ivivi Joseph - In: Journal of mathematical finance 5 (2015) 1, pp. 15-25

Persistent link: https://www.econbiz.de/10011398581

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for many financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and dependence...

Persistent link: https://www.econbiz.de/10011332950

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions

Liu, Wei-hn - In: Applied economics 46 (2014) 10/12, pp. 1420-1435

Persistent link: https://www.econbiz.de/10010399261

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